Evaluate
​
time to expiry (years)
T
3
starting asset price
S
0
40
strike price
X
45
risk-free rate
r
0.07
dividend yield
δ
0
volatility
σ
0.3
Geske-Johnson approximation for the American put = 8.06486
Bermudan put P
3
= 7.46865
Bermudan put P
2
= 7.16061
European put P
1
= 6.19676
32
33
34
35
36
37
38
S
*
T/2
6.95
7.00
7.05
7.10
7.15
P
2